Uses of Package
org.drip.exposure.regression

Packages that use org.drip.exposure.regression
Package Description
org.drip.exposure.regression
Regression Based Path Exposure Generation
org.drip.exposure.regressiontrade
Exposure Regression under Margin and Trade Payments
  • Classes in org.drip.exposure.regression used by org.drip.exposure.regression
    Class Description
    LocalVolatilityGenerationControl
    LocalVolatilityGenerationControl holds the Parameters the control the Calculation of the Local Volatility in the Pykhtin (2009) Brownian Bridge Calibration.
    PillarVertex
    PillarVertex hold the Date and the Exposure of each Vertex Pillar.
    PykhtinPillar
    PykhtinPillar holds the Details of the Pillar Vertex Realization Point - the Realization Value, the Order Index, the CDF, the Transform Variate, and the Local Volatility - in accordance with the Pykhtin (2009) Scheme.
    PykhtinPillarDynamics
    PykhtinPillarDynamics generates the Dynamics off of the Pillar Vertex Exposure Realizations to be used in eventual Exposure Regression using the Pykhtin (2009) Scheme.
  • Classes in org.drip.exposure.regression used by org.drip.exposure.regressiontrade
    Class Description
    LocalVolatilityGenerationControl
    LocalVolatilityGenerationControl holds the Parameters the control the Calculation of the Local Volatility in the Pykhtin (2009) Brownian Bridge Calibration.
    PykhtinPillarDynamics
    PykhtinPillarDynamics generates the Dynamics off of the Pillar Vertex Exposure Realizations to be used in eventual Exposure Regression using the Pykhtin (2009) Scheme.